Curriculum Vitae

CURRENT APPOINTMENTS


Assistant Professor in Finance                
                                         2010 - Present
ITAM, Business School

EDUCATION


Ph.D. in Finance                                      
                                           2005 – 2010
McGill University, Desautels Faculty of Management

Master in Mathematical Finance                                                       1999 – 2000
University of Toronto

B.Sc. in Industrial Engineering                                                        
1992 - 1997
Universidad de Los Andes, Colombia

 

RESEARCH AND TEACHING INTERESTS

Empirical Asset Pricing, Derivatives, Investments, Risk Management and Fixed Income

 

PUBLISHED PAPERS

Do Realized Skewness Predict the Cross-Section of Equity Returns, 2015, with Diego Amaya, Peter Christoffersen and Kris Jacobs, Journal of Financial Economics, 118, 135-167. 

Equity Volatility Term Structures and the Cross-Section of Option Returns, 2017, Journal of Financial and Quantitative Analysis, Volume 52, Issue 6, Pages 2727-2754.

WORKING PAPERS

  1.          How does Capital Structure affect Equity Option Returns?, with Xiao Xiao
  2.          Making Better Use of Option Prices to Predict Stock Returns, with Dmitriy Muravyev and Wenzhi Wang
  3.          Volatility Uncertainty and the Cross-Section of Option Returns with Jay Cao, Xiao Xiao, and Xintong Zhan
  4.          The Cross-Section of Intraday Jumps with Diego Amaya


ACADEMIC TEACHING EXPERIENCE

Course taught

Finance 1                                                                                        Winter 2011
Fixed Income Analysis                                                                   2010-2017
Market Risk Models, undergraduate                                              2009-2018
Empirical Finance, graduate                                                          2016-2018
Market Risk Models, graduate                                                       Summer 2009
Empirical Asset Pricing                                                                  2015-2017


AWARDS AND ACCOMPLISHMENTS


IFSID Research Grant                                                             2018-2019
Fundef Research award                                                          2006-2009
IFM­­­­2 doctoral fellowship award                                               2006-2009
Colfuturo Scholarship Loan Program                                      2007-2009
McGill doctoral entrance fellowship                                         2005-2006
University of Toronto graduate fellowship                               1999-2000

PROFESSIONAL EXPERIENCE


M
ANAGER, Valuation Product Control                                        2004 – 2005
Bank of Montreal, Toronto
  • Developed synthetic pricing of variance swaps using option prices
  • Researched and developed volatility surface to price OTC options
  • Computed close-out reserves and liquidity reserves for warrants, CDS and convertible securities based on limited market data, bid-ask spreads and model limitations
  • Monitored credit and equity derivative pricing models and risk sensitivities
  • Performed model stress tests to determine model's performance and accuracy
SENIOR ANALYST, Value-at-Risk Projects                                2000 – 2004
Bank of Montreal, Toronto
  • Developed research to recommend “best” estimate for volatilities and correlations among  Riskmetrics, GARCH(1,1) and historical volatility
  • Performed research using principal component analysis (PCA) to explain the structural changes in correlations among interest rate yield curves post September 11
  • Developed covariance matrix for interest rate (IR), foreign exchange (FX), equities and implied volatilities (IV) for value-at-risk (VaR) calculation
  • Developed a desktop application to compute credit risk and market risk (Delta-Gamma VaR) using Cornish-Fisher expansion
  • Supported, modified and enhanced the equity, IR, FX and commodity VaR daily processes and methodologies
ANALYST, Trading Division                                                          Jan - Apr 2000
Redpath Sugars, Toronto
  • Developed internal VaR model for sugar options and futures trading portfolio
  • PCA calculation and analysis of the term structure of sugar futures
  • Proposed methodology to price long-dated OTC sugar options


BUDGET ASSISTANT, Financial Division                                    1998 - 1999
Bell Canada International, Colombia

  • Developed annual budget model for the company
  • Analyzed profitability among different cell-phone plans
  • Research on the impact of devaluation on financial statements

 

COMPUTER SKILLS AND ADDITIONAL INFORMATION

Computer software: SAS, C/C++, Matlab, SQL, Perl, Visual Basic, Bloomberg, Unix, Microsoft Access, and Microsoft Excel

Languages: Fluent in French, Spanish and English

Sports and recreational activities: certified Kundalini yoga teacher. Soccer, basketball and biking

 

IMMIGRATION STATUS


Canadian Citizen


REFERENCES


Peter Christoffersen

Professor of Finance
Rotman School of Management
University of Toronto
Tel: 1  416-946-5511 
peter.christoffersen@mcgill.ca

Kris Jacobs

Professor of Finance
C.T. Bauer College of Business
University of Houston
Tel: 1 713 743 2826
kjacobs@bauer.uh.edu

Lars Stentoft

Associate Professor of Finance
Department of Finance
HEC Montreal
Tel: 1 514 340 6671
lars.stentoft@hec.ca